After inserting the libraries and running a simple code, it gives that exception.
I used the same code/libs in eclipse and no Exceptions happened.
The code and library can be checked at forum.
Also, i created a ticket with them , but it seems to be an IDE issue.
Ticket : http://code.google.com/p/libgdx/issues/detail?id=1419
Forum post that i made : http://www.java-gaming.org/topics/first-time-with-libgdx-netbeans-user/29459/view.html
Image link : http://img833.imageshack.us/img833/3614/javagameerror.jpg
CODE: SELECT ALL
run:
org.lwjgl.LWJGLException: Could not locate OpenAL library.
at org.lwjgl.openal.AL.create(AL.java:151)
at org.lwjgl.openal.AL.create(AL.java:102)
at org.lwjgl.openal.AL.create(AL.java:201)
at com.badlogic.gdx.backends.openal.OpenALAudio.<init>(OpenALAudio.java:70)
at com.badlogic.gdx.backends.lwjgl.LwjglApplication.<init>(LwjglApplication.java:80)
at com.badlogic.gdx.backends.lwjgl.LwjglApplication.<init>(LwjglApplication.java:64)
at com.badlogic.gdx.backends.lwjgl.LwjglApplication.<init>(LwjglApplication.java:56)
at Main.Main.main(Main.java:29)
Tyrian: Creating game
Tyrian: Resizing game to: 800 x 480
FPSLogger: fps: 61
FPSLogger: fps: 60
Tyrian: Pausing game
Tyrian: Disposing game
Java Result: -1
CONSTRUÍDO COM SUCESSO (tempo total: 2 segundos)

when creating the project have you checked the "Use dedicated folder for storing libraries" checkbox? You can double check in the Project properties under libraries category. If "Libraries" text field points to a properties file, you are using non-global libraries
if so, it's likely that your library jar files were copied to the libraries folder in the project and this library apparently needs native libs next to the jar. And these are missing. Copy them there.

please read:
https://code.google.com/p/libgdx/wiki/ProjectSetuphttps://code.google.com/p/libgdx/wiki/MavenProjectSetup
it appears to me that you've got your platforms mixed up. If you are building a desktop app, the -android.jar and -gwt.jar are not to be present. I've got a (different) stacktrace before removing them, after removing the app started but eventually failed (after running apparently)
I believe the problem is a configuration problem on your side. From what I read in the docs, just adding the (right) dependencies should work. Please note that Run action in the IDE could be influenced by Compile on Save feature. Turn it off and optionally after building the project try running from cmd line from the dist/ folder (as per dist/README)
please reopen with more details describing what is the issue in netbeans..